Persistent producer price deflation in China and other Asian economies has become a genuine concern for policymakers. In August 2016, China's producer prices were down 12.4 percent from their peak in 2011, following a 54-month stretch of consecutive negative producer price readings (March 2012...

We analyse volatility spillovers between the on- and offshore (CNY and CNH) Renminbi exchange rates towards the US dollar (USD). The volatility impulse response (VIRF) methodology introduced by Hafner and Herwatz (2006) is applied to several shocks between January 2012 and December 2019....

​Persistent producer price deflation in China and other Asian economies has become a genuine concern for policymakers. In June 2016, China's producer prices were down 12.7 percent from their peak in 2011, following a 52-month stretch of consecutive negative producer price readings (March 2012...

This paper introduces new weighting schemes for model averaging when one is interested in combining discrete forecasts from competing Markov-switching models. In the empirical application, we forecast U.S. business cycle turning points with state-level employment data. We find that forecasts...

We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes. The new method, denoted as Markov-switching three-pass...